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Optimal investment with derivative securities
Ílhan, Aytaç; Jonsson, Mattias; Sircar, Ronnie - In: Finance and stochastics 9 (2005) 4, pp. 585-596
Persistent link: https://www.econbiz.de/10008214147
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Stochastic Volatility Corrections for Interest Rate Derivatives
Cotton, Peter; Fouque, Jean-Pierre; Papanicolaou, George; … - In: Mathematical finance : an international journal of … 14 (2004) 2, pp. 173-200
Persistent link: https://www.econbiz.de/10008214820
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Stochastic Volatility Effects on Defaultable Bonds
Fouque, Jean‐Pierre; Sircar, Ronnie; Sølna, Knut - In: Applied mathematical finance 13 (2006) 3, pp. 215-244
Persistent link: https://www.econbiz.de/10008222270
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OPTIMAL STATIC-DYNAMIC HEDGES FOR BARRIER OPTIONS
Ilhan, Aytaç; Sircar, Ronnie - In: Mathematical finance : an international journal of … 16 (2006) 2, pp. 359-386
Persistent link: https://www.econbiz.de/10008222761
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Maturity cycles in implied volatility
Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie; … - In: Finance and stochastics 8 (2004) 4, pp. 451-478
Persistent link: https://www.econbiz.de/10008223285
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A general framework for evaluating executive stock options
Sircar, Ronnie; Xiong, Wei - In: Journal of economic dynamics & control 31 (2007) 7, pp. 2317-2349
Persistent link: https://www.econbiz.de/10007738980
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Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives
Papageorgiou, Evan; Sircar, Ronnie - In: Applied mathematical finance 16 (2009) 4, pp. 353
Persistent link: https://www.econbiz.de/10008314731
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Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives
Papageorgiou, Evan; Sircar, Ronnie - In: Applied mathematical finance 16 (2009) 3-4, pp. 353
Persistent link: https://www.econbiz.de/10008336480
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ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
Leung, Tim; Sircar, Ronnie - In: Mathematical finance : an international journal of … 19 (2009) 1, pp. 99-128
Persistent link: https://www.econbiz.de/10008160562
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STOCHASTIC VOLATILITY: CALIBRATING RANDOM VOLATILITY - Options pricing using stochastic volatility.
Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie - In: Risk : managing risk in the world's financial markets 13 (2000) 2, pp. 89-94
Persistent link: https://www.econbiz.de/10007051824